Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0981 |
| Annualized Std Dev | 0.2346 |
| Annualized Sharpe (Rf=0%) | 0.4180 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5235.0000 |
| NAs | 1.0000 |
| Minimum | -0.1177 |
| Quartile 1 | -0.0068 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0082 |
| Maximum | 0.0869 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.3254 |
| Kurtosis | 6.1156 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5890 |
| Historical VaR (95%) | -0.0221 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0233 |
| Modified ES (95%) | -0.0427 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-03-31 | -0.5890 | 965 | 444 | 521 |
| 2018-09-04 | 2020-03-23 | 2020-12-15 | -0.4562 | 576 | 390 | 186 |
| 2002-04-17 | 2002-10-09 | 2003-11-03 | -0.3378 | 392 | 123 | 269 |
| 2011-07-08 | 2011-10-03 | 2012-02-03 | -0.2681 | 146 | 61 | 85 |
| 2001-05-23 | 2001-09-21 | 2002-01-04 | -0.2385 | 153 | 81 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 2.3 | -0.1 | 0.2 | 0.4 | -0.8 | -1 | 2.5 | -2.6 | 0.9 |
| 2001 | 0.6 | 0.5 | 2.4 | 0.9 | 0.7 | 1.3 | 0.4 | 0.4 | -1.8 | 1.4 | -0.4 | -1.4 | 5 |
| 2002 | -0.9 | 2.1 | 0 | 0.3 | 0.1 | -2.8 | -0.7 | -0.5 | 2.8 | 2.2 | -1.5 | 0.2 | 1.3 |
| 2003 | 1.8 | 0.2 | 0.7 | -0.3 | 1.8 | 0.4 | -1.4 | 0.2 | 2.2 | 0 | 1.4 | -1.5 | 5.8 |
| 2004 | 0.2 | 2 | 0.5 | -1 | 0.7 | -1.2 | 0.5 | 0.8 | 2.5 | 0.5 | 1.2 | -0.1 | 6.8 |
| 2005 | 0.8 | 0.8 | -0.5 | 0.8 | 1.3 | 0.9 | 0.3 | 0.3 | 0.2 | 0.5 | 1.7 | -0.8 | 6.5 |
| 2006 | 0.4 | 1.6 | 0.4 | -0.6 | 1.6 | 0.6 | -1.1 | 0.5 | -1.1 | -1.8 | -0.3 | -1 | -1.1 |
| 2007 | 1.4 | -0.2 | 0 | 0.6 | 0.9 | -1 | 0.4 | 1.2 | 2.1 | -3.9 | 0.4 | -0.7 | 1.1 |
| 2008 | 2.8 | -2.7 | 3.8 | 1.5 | 0.5 | 0 | 0.6 | -1 | 0 | 4.7 | -10.5 | 2.4 | 1.2 |
| 2009 | -1.9 | -0.5 | 2.2 | 0.4 | 4.3 | 1.7 | 0 | -2.2 | -2.9 | -2.8 | 1.5 | -1.6 | -2 |
| 2010 | 1 | 2.2 | 1.1 | -3.4 | -2.9 | -0.7 | 0.1 | 3.8 | 0.6 | -0.6 | 2.1 | -1.1 | 1.8 |
| 2011 | 2 | -1.8 | 0.3 | 0.2 | -3 | 1.6 | -0.6 | -2.1 | -3.1 | -3.2 | -0.6 | -0.9 | -10.8 |
| 2012 | 2.1 | 0.6 | -0.3 | 0.1 | -2.8 | 3 | -1.6 | 0.4 | 0.3 | 1.4 | -0.2 | 1.9 | 4.9 |
| 2013 | 1.1 | 0.4 | -1.1 | -2.2 | -1 | 1.6 | 1.3 | -1.4 | 1.2 | -0.4 | 0 | 0 | -0.5 |
| 2014 | -0.6 | -0.1 | 1.2 | -0.2 | -0.4 | 1.2 | -0.2 | 0.5 | -1.4 | 1.5 | -1.3 | -0.6 | -0.5 |
| 2015 | -2.1 | -0.5 | -0.1 | 0.6 | 0.4 | 0.5 | 0.5 | -2.7 | -0.4 | -0.5 | 0.7 | -1.3 | -4.8 |
| 2016 | -0.3 | 1.9 | 0.3 | -0.6 | 0.7 | 0.1 | 0.1 | 0.1 | 1.1 | -1.4 | -0.3 | -0.4 | 1.2 |
| 2017 | -0.1 | 1.8 | 0.2 | 0.5 | 1.7 | -0.1 | 0.3 | 0.7 | 0.3 | -0.7 | -0.6 | -0.7 | 3.5 |
| 2018 | 0.4 | -0.4 | 0.9 | 0.4 | 0.7 | -0.3 | 0 | 0.6 | -1.5 | 1.9 | 0.8 | 0.6 | 4.2 |
| 2019 | -0.1 | 0.6 | 1.2 | -0.9 | -1.3 | 0.2 | -1.5 | -0.2 | -2 | 1.5 | -0.6 | 0.3 | -2.8 |
| 2020 | -2.4 | -1.6 | -7 | -4.1 | 1.1 | -1.4 | -0.6 | 1.1 | 1.4 | -1.3 | 1.1 | 0.2 | -13 |
| 2021 | 1.8 | 3.1 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
